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The characteristic function of rough Heston models

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Cited by:

  1. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  2. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Working Papers hal-03827332, HAL.
  3. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
  4. Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022. "Kyle's Model with Stochastic Liquidity," Papers 2204.11069, arXiv.org.
  5. Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
  6. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
  7. Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
  8. Liexin Cheng & Xue Cheng, 2024. "Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants," Papers 2401.03776, arXiv.org, revised Nov 2024.
  9. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
  10. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2019. "Moment explosions in the rough Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 575-608, December.
  11. Giorgia Callegaro & Martino Grasselli & Gilles Paèes, 2021. "Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 221-254, February.
  12. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
  13. repec:hal:journl:hal-03827332 is not listed on IDEAS
  14. Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2023. "Multi-dimensional fractional Brownian motion in the G-setting," Papers 2312.12139, arXiv.org, revised Nov 2024.
  15. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  16. Jim Gatheral & Radov{s} Radoiv{c}i'c, 2023. "A generalization of the rational rough Heston approximation," Papers 2310.09181, arXiv.org, revised Feb 2024.
  17. Christian Bayer & Jinniao Qiu & Yao Yao, 2020. "Pricing Options Under Rough Volatility with Backward SPDEs," Papers 2008.01241, arXiv.org.
  18. Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020. "Log-modulated rough stochastic volatility models," Papers 2008.03204, arXiv.org, revised May 2021.
  19. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  20. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  21. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
  22. Youssef Ouazzani Chahdi & Mathieu Rosenbaum & Gr'egoire Szymanski, 2024. "A theory of passive market impact," Papers 2412.07461, arXiv.org.
  23. Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
  24. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022. "Short-dated smile under rough volatility: asymptotics and numerics," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
  25. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  26. Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
  27. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Sep 2024.
  28. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2024. "Forecasting volatility with machine learning and rough volatility: example from the crypto-winter," Digital Finance, Springer, vol. 6(4), pages 639-655, December.
  29. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
  30. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
  31. Gao, Xiangyu & Wang, Jianqiao & Wang, Yanxia & Yang, Hongfu, 2022. "The truncated Euler–Maruyama method for CIR model driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 189(C).
  32. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
  33. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
  34. Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
  35. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  36. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "From elephant to goldfish (and back): memory in stochastic Volterra processes," Papers 2306.02708, arXiv.org, revised Jan 2025.
  37. David J. Promel & David Scheffels, 2022. "Pathwise uniqueness for singular stochastic Volterra equations with H\"older coefficients," Papers 2212.08029, arXiv.org, revised Jul 2024.
  38. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
  39. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  40. Antonis Papapantoleon & Jasper Rou, 2024. "A time-stepping deep gradient flow method for option pricing in (rough) diffusion models," Papers 2403.00746, arXiv.org.
  41. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  42. Carsten H. Chong & Viktor Todorov, 2022. "Short-time expansion of characteristic functions in a rough volatility setting with applications," Papers 2208.00830, arXiv.org, revised Nov 2024.
  43. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
  44. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  45. Bingyan Han & Hoi Ying Wong, 2019. "Mean-variance portfolio selection under Volterra Heston model," Papers 1904.12442, arXiv.org, revised Jan 2020.
  46. Eduardo Abi Jaber & Nathan De Carvalho, 2023. "Reconciling rough volatility with jumps," Papers 2303.07222, arXiv.org, revised Sep 2024.
  47. Eduardo Abi Jaber & Shaun & Li & Xuyang Lin, 2024. "Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models," Papers 2405.02170, arXiv.org.
  48. Paul Hager & Eyal Neuman, 2020. "The Multiplicative Chaos of $H=0$ Fractional Brownian Fields," Papers 2008.01385, arXiv.org.
  49. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
  50. Aur'elien Alfonsi & Edoardo Lombardo, 2024. "High order approximations and simulation schemes for the log-Heston process," Papers 2407.17151, arXiv.org, revised Dec 2024.
  51. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
  52. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  53. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Søjmark, 2024. "Functional central limit theorems for rough volatility," Finance and Stochastics, Springer, vol. 28(3), pages 615-661, July.
  54. Han, Bingyan & Wong, Hoi Ying, 2021. "Merton’s portfolio problem under Volterra Heston model," Finance Research Letters, Elsevier, vol. 39(C).
  55. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
  56. Bo Yuan & Damiano Brigo & Antoine Jacquier & Nicola Pede, 2024. "Deep learning interpretability for rough volatility," Papers 2411.19317, arXiv.org.
  57. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Apr 2024.
  58. Siow Woon Jeng & Adem Kiliçman, 2021. "SPX Calibration of Option Approximations under Rough Heston Model," Mathematics, MDPI, vol. 9(21), pages 1-11, October.
  59. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
  60. Bruno Durin & Mathieu Rosenbaum & Gr'egoire Szymanski, 2023. "The two square root laws of market impact and the role of sophisticated market participants," Papers 2311.18283, arXiv.org.
  61. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
  62. repec:hal:journl:hal-03902513 is not listed on IDEAS
  63. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
  64. De Angelis, Paolo & De Marchis, Roberto & Martire, Antonio Luciano & Oliva, Immacolata, 2020. "A mean-value Approach to solve fractional differential and integral equations," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  65. Richard, Alexandre & Tan, Xiaolu & Yang, Fan, 2021. "Discrete-time simulation of Stochastic Volterra equations," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 109-138.
  66. Antoine Jacquier & Emma R. Malone & Mugad Oumgari, 2019. "Stacked Monte Carlo for option pricing," Papers 1903.10795, arXiv.org.
  67. Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2022. "Option pricing in Sandwiched Volterra Volatility model," Papers 2209.10688, arXiv.org, revised Jul 2024.
  68. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
  69. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
  70. Bingyan Han & Hoi Ying Wong, 2019. "Merton's portfolio problem under Volterra Heston model," Papers 1905.05371, arXiv.org, revised Nov 2019.
  71. Horvath, Blanka & Jacquier, Antoine & Muguruza, Aitor & Søjmark, Andreas, 2024. "Functional central limit theorems for rough volatility," LSE Research Online Documents on Economics 122848, London School of Economics and Political Science, LSE Library.
  72. Aur'elien Alfonsi & Guillaume Szulda, 2024. "On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients," Papers 2402.19203, arXiv.org, revised Jul 2024.
  73. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
  74. Siow Woon Jeng & Adem Kiliçman, 2021. "On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model," Mathematics, MDPI, vol. 9(22), pages 1-32, November.
  75. Eduardo Abi Jaber & Louis-Amand G'erard, 2024. "Signature volatility models: pricing and hedging with Fourier," Papers 2402.01820, arXiv.org.
  76. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
  77. Yiru Xi & Hoi Ying Wong, 2021. "Discrete variance swap in a rough volatility economy," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1640-1654, October.
  78. repec:hal:cesptp:hal-03902513 is not listed on IDEAS
  79. Eduardo Abi Jaber & Nathan de Carvalho, 2024. "Reconciling rough volatility with jumps," Post-Print hal-04295416, HAL.
  80. Jie, Lijuan & Luo, Liangqing & Zhang, Hua, 2024. "One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 205(C).
  81. Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
  82. Prömel, David J. & Scheffels, David, 2023. "Stochastic Volterra equations with Hölder diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 291-315.
  83. Hainaut, Donatien, 2022. "Pricing of spread and exchange options in a rough jump-diffusion market," LIDAM Discussion Papers ISBA 2022012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  84. Hainaut, Donatien, 2022. "Multivariate rough claim processes: properties and estimation," LIDAM Discussion Papers ISBA 2022002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  85. Xiyue Han & Alexander Schied, 2023. "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers 2307.02582, arXiv.org, revised Nov 2024.
  86. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  87. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  88. Peter Friz & Jim Gatheral, 2022. "Diamonds and forward variance models," Papers 2205.03741, arXiv.org.
  89. Hainaut, Donatien, 2022. "Multivariate claim processes with rough intensities: Properties and estimation," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 269-287.
  90. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
  91. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
  92. Eduardo Abi Jaber, 2020. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Working Papers hal-02412741, HAL.
  93. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
  94. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02946146, HAL.
  95. Eduardo Abi Jaber, 2020. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers 2009.10972, arXiv.org, revised May 2022.
  96. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
  97. Mohamed Ben Alaya & Martin Friesen & Jonas Kremer, 2024. "Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process," Papers 2409.04496, arXiv.org.
  98. Ke Wang & Xunxiang Guo, 2024. "Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1543-1573, April.
  99. Alexandre Pannier & Antoine Jacquier, 2019. "On the uniqueness of solutions of stochastic Volterra equations," Papers 1912.05917, arXiv.org, revised Apr 2020.
  100. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra-type processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 407-448, December.
  101. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2023. "Deep calibration with random grids," Papers 2306.11061, arXiv.org, revised Jan 2024.
  102. Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org, revised Dec 2024.
  103. Siow Woon Jeng & Adem Kilicman, 2020. "Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
  104. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
  105. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Post-Print hal-02412741, HAL.
  106. Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra type processes," Papers 1907.01917, arXiv.org, revised Sep 2019.
  107. Harang, Fabian A. & Tindel, Samy, 2021. "Volterra equations driven by rough signals," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 34-78.
  108. Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda, 2023. "Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix," Papers 2304.04372, arXiv.org.
  109. Fred Espen Benth & Heidar Eyjolfsson, 2024. "Robustness of Hilbert space-valued stochastic volatility models," Finance and Stochastics, Springer, vol. 28(4), pages 1117-1146, October.
  110. Jim Gatheral & Radoš Radoičić, 2019. "Rational Approximation Of The Rough Heston Solution," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-19, May.
  111. Aur'elien Alfonsi, 2023. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Papers 2302.07758, arXiv.org, revised Oct 2024.
  112. Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
  113. Ying Chang & Yiming Wang & Sumei Zhang, 2021. "Option Pricing under Double Heston Jump-Diffusion Model with Approximative Fractional Stochastic Volatility," Mathematics, MDPI, vol. 9(2), pages 1-10, January.
  114. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02412741, HAL.
  115. Florian Aichinger & Sascha Desmettre, 2024. "Pricing of geometric Asian options in the Volterra-Heston model," Papers 2402.15828, arXiv.org, revised Jan 2025.
  116. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org, revised Feb 2025.
  117. Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021. "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA 2021017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  118. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  119. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
  120. Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  121. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
  122. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org, revised Nov 2024.
  123. Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
  124. Eduardo Abi Jaber, 2019. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Papers 1912.07445, arXiv.org, revised Jun 2020.
  125. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
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